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The Minimal Entropy Martingale Measure (MEMM) for a Markov-Modulated Exponential Lévy Model

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  • Romuald Momeya

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  • Zied Salah

    ()

Abstract

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Suggested Citation

  • Romuald Momeya & Zied Salah, 2012. "The Minimal Entropy Martingale Measure (MEMM) for a Markov-Modulated Exponential Lévy Model," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 19(1), pages 63-98, March.
  • Handle: RePEc:kap:apfinm:v:19:y:2012:i:1:p:63-98
    DOI: 10.1007/s10690-011-9142-8
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    File URL: http://hdl.handle.net/10.1007/s10690-011-9142-8
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    References listed on IDEAS

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    1. Robert J. Elliott & Leunglung Chan & Tak Kuen Siu, 2005. "Option pricing and Esscher transform under regime switching," Annals of Finance, Springer, vol. 1(4), pages 423-432, October.
    2. Robert Elliott & Carlton-James Osakwe, 2006. "Option Pricing for Pure Jump Processes with Markov Switching Compensators," Finance and Stochastics, Springer, vol. 10(2), pages 250-275, April.
    3. Martin Schweizer, 1994. "Risk-Minimizing Hedging Strategies Under Restricted Information," Mathematical Finance, Wiley Blackwell, vol. 4(4), pages 327-342.
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    Cited by:

    1. Pious Asiimwe & Charles Wilson Mahera & Olivier Menoukeu-Pamen, 2016. "On the Price of Risk Under a Regime Switching CGMY Process," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 23(4), pages 305-335, December.

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